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Broker: Advantage Futures, Ninja/TT and InvestorRT/IQFeed.
Trading: Treasury futures
Posts: 312 since Nov 2010
Thanks Given: 194
Thanks Received: 912
I loved the Twin Cities, and cold is something you get used to. When I was in college in Northfield it would never get above zero the first week of February, and -20F was common. Three friends and I hitchhiked to my former roommate's house in Rochester to watch Fran Tarkington's Vikes play Dallas in the Super Bowl in '77. It was -20 that morning when we left and it got down to -30 with a wind chill of -75 that night. By all rights we should have frozen to death waiting for someone to pick us up, but a St. Olaf parent with a van picked all four of us up outside our dorm and dropped us off at my roommate's house. As usual, the Vikes lost.
My Mom lived in Duluth for a few years. My wife and I stayed at an inn called The Mansion once, an old mining magnates' place. Loved it.
About arbitrage: Well, takeover arbs take only one side of the trade, so there is that... . Basically, then, if I understand you correctly, you are deciding which of a group of correlated assets to buy based on which is "cheap", and if it's time to buy. That's one way to go, but you might want to test it against the old truism that when it's time to buy, buy the STRONGEST asset in the class, not the weakest. I've always fallen into the latter camp and I used it in my yield curve trading, but I've never rigorously tested the idea. I think I first read about the concept in something by Stanley Kroll, or maybe it was "Reminiscences of a Stock Operator". But "strongest" is not the same as "most expensive". On a higher time frame it could be cheap, and that's why it's strong. Just stuff to think about.
"You don't need a weatherman to know which way the wind blows..."
Ahh... the ol' Vik-queens... They never fail to disappoint
This season is the most promising we have had in a while
I used to live in the Twin Cities until just the past couple of years. I must admit, Duluth is a wonderful change from the Twin Cities
As you say buy the strongest one, I think that it is less risk to buy the cheaper one if you put it in a frame of asymmetric returns. Buying the strong one presents a larger stop loss the way I am trading these. This gives me less risk to buy the cheaper one.
Definitely something to note if others are trying this idea! Take notes people! We have a floor trade in the room!
Broker: Advantage Futures, Ninja/TT and InvestorRT/IQFeed.
Trading: Treasury futures
Posts: 312 since Nov 2010
Thanks Given: 194
Thanks Received: 912
Stopped rooting for the Vikes the moment I moved to Chicago (January 1 1986, just in time for the only great Bears team ever). Being a Vikes fan was painful, and in Chicago could have been fatal too!
As for having a floor trader in the room, take that with a GIANT grain of salt. Floor traders had advantages available to no one else: super low transaction costs (but high overhead), a direct view of the order flow including which customers were playing and what they were doing, and most importantly the ability to buy the bid and sell the offer. It was NOT FIFO, and that's very important. We could lean on existing orders and scratch trades if they felt iffy almost for free. We were first in line, and we could also get to the orders quicker. I made a career of front running the cash/futures arbs; we had Cantor Fitzgerald, Liberty, and Garban screens and I could tell when they were about to hit the bids and I'd get there first. But we did trade a lot, and we had to deal with the same psychological pressures as every other trader.
Please do not consider me to be an expert on anything but trading psychology. I am not yet a success as a technical screen based trader. I have a lot to learn from all of you.
"You don't need a weatherman to know which way the wind blows..."
Broker: Advantage Futures, Ninja/TT and InvestorRT/IQFeed.
Trading: Treasury futures
Posts: 312 since Nov 2010
Thanks Given: 194
Thanks Received: 912
Yeah, I hear that 59 is the new 29. But I don't believe it, my arthritis tells me otherwise, as well as the fact that I've become invisible and I can't text worth a damn and I don't know how to use Twitter.
"You don't need a weatherman to know which way the wind blows..."
Broker: Advantage Futures, Ninja/TT and InvestorRT/IQFeed.
Trading: Treasury futures
Posts: 312 since Nov 2010
Thanks Given: 194
Thanks Received: 912
I don't know that I'm really that humble. One of the things that always attracted me to trading was that we have very objective measures of performance. In corporate life you can be good at your job but still not be recognized, or worse; this happened to me at Harvest States. In trading the bottom line, and the consistency with which you achieve it, is all the performance metric needed. And it's by that metric that I say I'm not an expert. I still find myself making some really bonehead mistakes, and also not yet really being clear on when to stand aside.
In a sense all of my pit stories are "boring stories of glory days".
"You don't need a weatherman to know which way the wind blows..."
-Waiting to short all morning, but not liking price action nor TICK, so I stayed on the sidelines.
-Honestly, between you and me, I wouldn't have been able to withhold if it weren't for trading GC and ZB
-We got a pretty extreme TICK reading on a push above VWAP. I figured it would be exhaustion due to low volume today
-So I shorted 4 lots fairly quick thinking that it would go lower quick.
-Waited and waited until it broke lower where I added one more contract.
-I took 3 contracts off at OR-High. I was not sure if we would be able to extend the day's range today, so I was playing tight targets
-I took another off in front of OR-Low
-I added one contract at 36.00
-I took profits at Y-High.
-Class time and done for day. Missed a chance to hold longer for Y-VPOC, but hey, I am not complaining
Gold:
-Not much to say
-Gold was very lame as far as movement goes today. I was pretty bummed that none of my trades got the chance to run
-I scalped around more than I am proud of, but hey, -$30 isn't too shabby
ZB:
-Played the long side right away.
-2 lots long, made decent profit on them. Had an open PnL of ~$600 but ended up with ~$200
-Then I took a ~$60 loss.
-Lastly, I took a one lot long
-I made 4 ticks or so (~$120)